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GC: VWAP pullback

Trade with the trend when price pulls back to the day's VWAP. Backtested on real CME GC 1-minute bars.

Short answer

We backtested the VWAP pullback on GC (gold futures (GC and MGC)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 203 trades, won 36.9% of them and made $1,227 after costs, an average of +0.06R per trade. It did not clear the bar: it failed 5 of 8 tests, including "At least 300 trades". Against a random-walk copy of the same data it scored 0.19R better, so the gap is small and not reliable. It trades 18:05 to 21:30 IST in summer or 19:05 to 22:30 IST in winter (08:35 to 12:00 New York time).

Strategy setup

Times in your time zone: EST (America/New York), New York times beside them. Change it in your profile.

Real days from the data

08:2008:20 New York09:2009:20 New York10:2010:20 New York11:2011:20 New YorkVWAP 4,126.83Time exit limitStop4,132.92Target4,114.35Sell 4,126.73Target hit+2.00R · +$246

Wed, 14 Oct 2026, short. In at 09:33 EST (09:33 New York), out at 09:56 EST (09:56 New York). 5-minute candles, 2 MGC, $124 at risk.

Setup
VWAP from the open. The side is where the close is relative to VWAP after 15 minutes, at least 0.10% away08:35 to 12:00 EST (08:35 to 12:00 New York)
Entry
Limit order one tick past VWAP on the first pullback to it
Stop
0.15% of the entry price
Target
2R, twice the distance to the stop
Time exit
Flat by this time at the latest12:00 EST (12:00 New York)
Size
Whole MGC micros, so the stop risks at most $150 (maximum 10). Skipped if one micro would risk more
Frequency
One trade a day

One tick lost on stop and market fills, a target needs price to trade a tick through it, the stop counts first when one bar touches both, and a target can't be hit in the bar a limit order fills. Commission is a placeholder $0.50 per micro per side, not Tradeify's actual rate.

Does it clear the bar?

Doesn't meet the bar

Fixed before any strategy was run. Every check must hold after costs. Average R is +0.06 against -0.13 on random-walk copies of the same days (±0.03): clearly above chance.

  • At least 300 trades203
  • Average R of +0.10 or more+0.06
  • t-statistic of 3 or more0.6
  • Beats a random walk by 0.10R+0.19R over -0.13R
  • Profitable in 3 of 4 years3 of 4
  • Positive out-of-sample (2025 on)+0.06R
  • Profit factor of 1.2 or more1.07
  • Max drawdown within $1,000-$2,346

Net profit

$1,227

after $496 costs

Trades

203

on 20.7% of days

Win rate

36.9%

avg win $235, avg loss -$128

Average R

+0.06

95% range -0.12 to +0.26

Profit factor

1.07

expectancy $6 a trade

Max drawdown

-$2,346

vs $1,000 allowed on a $25K account

Equity curve

Running net profit, by quarter

-$2,000-$1,000$0$1,000$2,000$3,00023Q123Q1: $25323Q2: -$2523Q323Q3: -$57423Q4: -$47824Q124Q1: -$1,08524Q2: -$1,37224Q324Q3: -$1,04924Q4: $70025Q125Q1: $36025Q2: $2025Q325Q3: -$13225Q4: $99926Q126Q1: $2,79726Q2: $1,83226Q326Q3: $1,63726Q4: $1,227

By year

Net profit, and trades taken

-$478202341 trades$1,179202436 trades$299202549 trades$228202677 trades

How trades ended

Net profit by exit type

-$16,329Stop126 trades, -1.02R$17,143Target69 trades, +2.00R$413Time exit8 trades, +0.45R

Days with a trade

Share of each year's trading days on which the strategy traded, and why the other days had no trade.

  • 2023
    16%
  • 2024
    14%
  • 2025
    19%
  • 2026
    37%
Reason for no tradeDaysShare of all days
no clear side76678.2%
no pullback to VWAP101%
no bars after the anchor10.1%

Breakdowns

Nothing is tuned on the out-of-sample years: 2023 to 2024 is the in-sample period, 2025 on is out-of-sample.

PeriodTradesWin rateNetAvg RProfit factorMax drawdown
In-sample 2023 to 20247737.7%$700+0.081.11-$2,107
Out-of-sample 2025 to Oct 202612636.5%$527+0.061.05-$2,346
By yearTradesWin rateNetAvg RProfit factorMax drawdown
20234134.1%-$478-0.080.86-$1,443
20243641.7%$1,179+0.261.44-$1,158
20254936.7%$299+0.071.08-$1,336
20267736.4%$228+0.051.04-$2,346
By sideTradesWin rateNetAvg RProfit factorMax drawdown
Long11133.3%-$391-0.040.96-$1,753
Short9241.3%$1,618+0.191.23-$1,945

Rule variations

Small changes to the rules, to check the result is not fragile. They are never used to choose the rules.

VariationTradesWin rateNetAvg RProfit factorMax drawdownDays skipped
Primary rules20336.9%$1,227+0.061.07-$2,346-
Target 1R20349.3%-$1,406-0.020.90-$2,399777
Target 1.5R20344.3%$1,745+0.091.12-$2,210777
Target 3R20327.6%-$888-0.020.95-$3,604777
Stop 0.10%20334.5%-$680+0.010.96-$2,451777
Stop 0.20%20337.4%-$167+0.030.99-$1,881777
Side needs 0.20%4223.8%-$1,454-0.300.65-$2,231938
Risk budget $25020336.9%$1,739+0.061.06-$4,102777

Tradeify $25K evaluation

Target $1,500, trailing drawdown $1,000, daily loss $600. An attempt starts on each of 980 trading days in turn.

  • Passed 347
  • Failed on drawdown 564
  • Unfinished 69

38.1% of finished attempts passed, in a median of 112 trading days. Attempts that start on consecutive days overlap, and with no edge a simulated evaluation passes or fails mostly by luck.

Hypothetical results from a backtest on CME GC futures, 2 Jan 2023 to 18 Oct 2026, run 19 October 2026. 104 strategies and variations were tried across the Strategy section, so the best few would look good by chance. Past performance does not predict future results, fills and costs are assumed, and an average of +0.06R with a 95% range of -0.12 to +0.26R can't be told apart from zero. Education, not trading advice.

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